Honoring Bruno Dupire’s 60^th Birthday                      

Búzios, Rio de Janeiro, November 24 – 28, 2018 

 

The use of sophisticated mathematical tools in financial engineering ranging from partial differential equations to stochastic analysis and numerical methods has been growing steadily during the past few decades. On the one hand, the mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has been presenting a number of mathematical and computational challenges to researchers.

This is the thirteenth conference hosted by IMPA’s group on Math Finance on the subject. It is a follow up of the highly successful previous editions. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of mathematical finance including (but not limited to) option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.

We will precede the conference with two days of minicourses. The minicourses will be aimed at both practioners and students.   

***Official hotels and agencies are not allowed to contact participants, unless he/she had already contact the hotel previously. To make a reservation at Hotel Atlântico, please contact eventos@impa.br.*** 

 

• Videos of the talks
• Slides
• Booklet
• Certificates
• Group Picture
• Registration
• Poster Session 
• Contributed Talks
• Full Program
• Daily Program
• Invited Speakers
• Minicourses: 

Jim Gatheral (Baruch College)
Rough volatility

Sebastian Jaimungal (Univ. of Toronto) 
Machine Learning in Algorithmic Trading

Teemu Pennanen (King’s College London)
Incomplete markets

• Conference Venue
• List of Registered Participants
• Transportation
• Visa Information
• Previous meetings and pictures

 

Scientific Committee

Marco Avellaneda (Courant Institute, USA)
Bruno Dupire (Bloomberg, USA)
Jorge P. Zubelli (IMPA, Brazil)

 

Local Committee

Yuri Saporito (FGV-RJ)
Max Souza (UFF, Brazil)
Jorge P. Zubelli (IMPA, Brazil)

 

Contact

Postal Address: Instituto de Matemática Pura e Aplicada 
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil 
E-mail: math.fin.impa@gmail.com
or lamca@impa.br